The Syntax of the Accounting Language: A First Step. (arXiv:1906.10865v1...
We review and interpret two basic propositions published by Ellerman (2014). The propositions address the algebraic structure of T accounts and double entry bookkeeping (DEB). The paper builds on this...
View ArticleCommunity energy retail tariffs in Singapore: opportunities for peer-to-peer...
In this paper, an electricity market is simulated using an iterative double-auction algorithm that resolves a social welfare optimization problem based on the Kelly auction mechanism. It is adapted to...
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One simple chart: Who is interested in Spark NLP?
As we close in on its two-year anniversary, Spark NLP is proving itself a viable option for enterprise use.In July 2016, I broached the idea for an NLP library aimed at Apache Spark users to my friend...
View ArticleState Street Settles SEC Charges for Adding Undisclosed Markups on Client...
The Securities and Exchange Commission today announced that State Street Bank and Trust Company has agreed to pay over $88 million to settle charges for overcharging mutual funds and other registered...
View ArticleMind the Gap: The Unforeseen Consequences of Smart Beta
A new paper by Sean Markowicz, a strategist at Schroders, looks into the possibility that fund flows into the assets generically called smart beta are having detrimental consequences for the financial...
View ArticleRevisiting Feller Diffusion: Derivation and Simulation. (arXiv:1905.10737v3...
We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss...
View ArticleComputing a Data Dividend. (arXiv:1905.01805v2 [cs.GT] UPDATED)
Quality data is a fundamental contributor to success in statistics and machine learning. If a statistical assessment or machine learning leads to decisions that create value, data contributors may want...
View ArticleMarket Making under a Weakly Consistent Limit Order Book Model....
We develop from the ground up a new market-making model tailor-made for high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market...
View ArticleNowcasting Recessions using the SVM Machine Learning Algorithm....
We introduce a novel application of Support Vector Machines (SVM), an important Machine Learning algorithm, to determine the beginning and end of recessions in real time. Nowcasting, "forecasting" a...
View ArticleDynkin games with incomplete and asymmetric information. (arXiv:1810.07674v3...
We study Nash equilibria for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our set-up, the drift of the underlying diffusion process is unknown to one...
View ArticleContinuous viscosity solutions to linear-quadratic stochastic control...
This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state...
View ArticleRisk measures with markets volatility. (arXiv:1806.01166v4 [q-fin.RM] UPDATED)
Since the risk in financial markets has become much more uncertain and volatile than before, the usual risk measures may be limited when dealing with the risk management. In this paper, we will study...
View ArticleCan You hear the Shape of a Market? Geometric Arbitrage and Spectral Theory....
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a...
View ArticleCorrelators of Polynomial Processes. (arXiv:1906.11320v1 [math.PR])
A process is polynomial if its extended generator maps any polynomial to a polynomial of equal or lower degree. Then its conditional moments can be calculated in closed form, up to the computation of...
View ArticleThe operational risk disclosure practices of banks: evidence from India and...
This paper compares the levels of operational risk disclosure in the banking industries of India and Romania.
View ArticleQuantification of operational risk: statistical insights on coherent risk...
In this paper, the authors review some of the existing methods used to quantify operational risks in the banking and insurance industries.
View ArticlePath-dependent American options
In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational...
View ArticleComplexity reduction for calibration to American options
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
View ArticleDecentralized bottom-up energy trading using Ethereum as a platform
In this paper, the simulated environment of a hierarchical energy trading market using Ethereumâs smartcontract technology is created as a proof-of-concept of using blockchain technology in energy...
View ArticleBaby on Board: Remarks before the Society for Corporate Governance National...
Baby on Board: Remarks before the Society for Corporate Governance National Conference, by Commissioner Hester M. Peirce, San Diego, California, June 28, 2019
View ArticleYOLO: Mortality Beliefs and Household Finance Puzzles
ABSTRACT We study the effect of subjective mortality beliefs on lifeâcycle behavior. With new survey evidence, we document that survival is underestimated (overestimated) by the young (old). We...
View ArticleWomen's Liberation as a Financial Innovation
ABSTRACT In one of the greatest extensions of property rights in human history, common law countries began giving rights to married women in the 1850s. Before this âwomen's liberation,â the...
View ArticleCorruption in Russia’s Primorsky Kray: is transparency the answer?
Journal of Financial Crime, Volume 26, Issue 1, Page 382-395, January 2019. Purpose The purpose of this paper is to use open-source Russian government data to investigate the relationship between...
View ArticleAdvancing theory of fraud: the S.C.O.R.E. model
Journal of Financial Crime, Volume 26, Issue 1, Page 372-381, January 2019. Purpose This paper aims to elaborate on the theory of fraud by enhancing the existing theories behind the factors that force...
View ArticleCorruption and socio-political economic structures: a case of Nigeria
Journal of Financial Crime, Volume 26, Issue 1, Page 330-371, January 2019. Purpose âCorrupt practicesâ is a recurring feature of media coverage. The paper seeks to encourage debates about the...
View ArticleDeterminants of sales misconduct in Indian retail banking services
Journal of Financial Crime, Volume 26, Issue 1, Page 313-329, January 2019. Purpose The purpose of this paper is to demonstrate those factors which are responsible for the sales misconduct in Retail...
View ArticleA taxing assessment
Journal of Financial Crime, Volume 26, Issue 1, Page 293-312, January 2019. Purpose The purpose of this paper is to enlighten the reader about the development in tax law. Moreover, the author intends...
View ArticlePredicting susceptibility to cyber-fraud victimhood
Journal of Financial Crime, Volume 26, Issue 1, Page 277-292, January 2019. Purpose This paper aims to develop a theoretical framework to predict susceptibility to cyber-fraud victimhood....
View ArticleTo whistle or not to whistle? Determinants and consequences
Journal of Financial Crime, Volume 26, Issue 1, Page 260-276, January 2019. Purpose Many corporate scandals that occurred recently have indicated the importance of a whistle-blowing mechanism in...
View ArticleTransfer pricing, earnings management and tax avoidance of firms in Ghana
Journal of Financial Crime, Volume 26, Issue 1, Page 235-259, January 2019. Purpose This paper aims to investigate how transfer pricing (TP) and earnings management affect tax avoidance of firms in...
View ArticleAudit and risk committee in financial crime prevention
Journal of Financial Crime, Volume 26, Issue 1, Page 223-234, January 2019. Purpose This empirical study aims to examine two areas: first, the characteristics of the audit committee and their...
View ArticleFraud in small charities: evidence from England and Wales
Journal of Financial Crime, Volume 26, Issue 1, Page 211-222, January 2019. Purpose Despite the increasing awareness of fraud in organisations and the potential benefits of strong fraud management...
View ArticleCombatting public procurement criminality or simple rules for complex cases
Journal of Financial Crime, Volume 26, Issue 1, Page 203-210, January 2019. Purpose Crimes that take place in the context of procurements, such as corruption and subsidy fraud, are a major problem for...
View ArticleRole of government’s legal adviser in curbing corruption in Israel
Journal of Financial Crime, Volume 26, Issue 1, Page 195-202, January 2019. Purpose The status of governmentâs legal adviser in Israel is complicated and controversial. This status deeply impacts...
View ArticleInternal auditor’s compliance to code of ethics
Journal of Financial Crime, Volume 26, Issue 1, Page 179-194, January 2019. Purpose The purpose of this study was to determine the professional competency levels acquired by internal auditors in...
View ArticleMapping corruption in procurement
Journal of Financial Crime, Volume 26, Issue 1, Page 162-178, January 2019. Purpose This paper aims to focus on understanding and preventing corruption in procurement in public sector settings. Just as...
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